I really like the Minwax wipe-on polyurethane. I've used it on MDF and even regular particle board benches with great results.
http://www.minwax.com/products/oil_b...e_on_poly.html
I use an old, soft t-shirt to apply it, rubbing in circles sort of like waxing a car. Once it is dry, hit it lightly with some 400 wet/dry sandpaper, wipe with a tack cloth and apply another coat. I do this for at least 4 coats, sometimes as many as 10. It takes a while but the finish builds slowly and is very smooth. The stuff is extremely durable too. I used it on our dining table and it should have been chipped or scratched a number of times but the poly holds up.